The Lead-Lag Effect of Global Gold Prices on ANTM’s Brand Equity: A Cross-Correlation and Prewhitening Approach

Abstract

This study systematically investigates the dynamic lead-lag relationship between global gold prices and the market-based brand equity of PT Aneka Tambang Tbk (ANTM) to assess structural stability during systemic market shocks. Utilizing daily adjusted closing prices transformed into log returns, data stationarity was initially confirmed via the Augmented Dickey-Fuller (ADF) test. To eliminate spurious correlation and isolate stochastic innovations, a rigorous ARIMA(0,0,2)-based prewhitening procedure was applied to the global gold returns prior to mapping the Cross-Correlation Function (CCF). Furthermore, a sub-sample structural break analysis was conducted surrounding the MSCI market transparency warning on January 28, 2026. The empirical findings during the pre-shock stability period reveal a robust contemporary correlation (Lag 0) and a highly significant one-day lead effect (Lag -1). This demonstrates that global gold prices efficiently dictate ANTM's valuation, thereby validating its strong financial-based brand equity as a trusted commodity proxy. However, the post-MSCI analysis illustrates a severe correlation breakdown, characterized by distorted lag structures and erratic, noise-driven price movements. The study concludes that while resource-based brand equity provides strong fundamental anchoring under rational conditions, this protective mechanism is temporarily severed during institutional panic. These findings highlight the critical necessity of integrating dynamic heterogeneity and structural breaks when modeling financial time series in emerging markets.